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The Global ETD Search service is a free service for researchers
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Networked Digital Library of Theses and Dissertations.
Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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Showing 311 to 320 of 321 (0.039 seconds)Spelling suggestions: "subject:"bfinancial markets."" "subject:"1financial markets.""
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Information and control in financial marketsLee, Samuel January 2009 (has links)
Market Liquidity, Active Investment, and Markets for Information. This paper studies a financial market in which investors choose among investment strategies that exploit information about different fundamentals. On the one hand, the presence of other informed investors generates illiquidity. On the other hand, investors who use different strategies can serve as quasi-noise traders for each other, thereby also supplying each other with liquidity. Thus, investment strategies can be substitutes or complements. Such externalities in information acquisition have effects on investor herding, comovement in prices and liquidity across assets, trade volume, and the informational role of prices. They further affect the relationship between financial markets and information markets. Information market competition fosters investor diversity, whereas monopoly power promotes investor herding. Also, in order to benefit from quasi-noise trading, a financial institution may engage in both proprietary trading and information sales. Security-Voting Structure and Bidder Screening. This paper shows that non-voting shares can promote takeovers. When the bidder has private information, shareholders may refuse to tender because they suspect to sell at an ex-post unfavourable price. The ensuing friction in the sale of cash flow rights can prevent an efficient sale of control. Separating cash flow and voting rights mitigates this externality, thereby facilitating takeovers. In fact, the fraction of non-voting shares can be used to discriminate between efficient and inefficient bidders. The optimal fraction decreases with managerial ability, implying an inverse relationship between firm value and non-voting shares. As non-voting shares increase control contestability, share reunification programs entrench managers of widely held firms, whereas dual-class recapitalizations can increase shareholder wealth. Signaling in Tender Offer Games. This paper examines whether a bidder can use the terms of the tender offer to signal the post-takeover security benefits to the shareholders of a widely held target firm. As atomistic shareholders extract all the gains in security benefits, signaling equilibria are subject to a constraint that is absent from bilateral trade models. The buyer (bidder) must enjoy gains from trade that are excluded from bargaining (private benefits), but can nonetheless be relinquished and enable shareholders to draw inference about the security benefits. Restricted bids and cash-equity offers do not satisfy these requirements. Dilution, debt financing, probabilistic takeover outcomes and toeholds are all viable signals because they make bidder gains depend on the security benefits in a predictable manner. In all the signaling equilibria, lower-valued types must forgo a larger fraction of their private benefits and these signaling costs prevent some takeovers. When the bidder has additional private information about the private benefits as in the case of two-dimensional bidder types, fully revealing equilibria cease to exist. This does not hold once bidders can offer not only cash or equity but also (more) elaborate contingent claims. Offers which include options avoid inefficiencies and implement the symmetric information outcome. Goldrush Dynamics of Private Equity. This paper presents a simple dynamic model of entry and exit in a private equity market with heterogeneous private equity firms, a depletable stock of target companies, and rational learning about investment profitability. The predictions of the model match a number of stylized facts: Aggregate fund activity follows waves with endogenous transitions from boom to bust. Supply and demand in the private equity market are inelastic, and the supply comoves with investment valuations. High industry performance precedes high entry, which in turn precedes low industry performance. There are persistent differences in fund performance across private equity firms, first-time funds underperform the industry, and first-time funds raised in booms are unlikely to be succeeded by a follow-on fund. Fund performance and fund size are positively correlated across firms, but negatively correlated across consecutive funds of a private equity firm. Finally, booms can make ”too much capital chase too few deals.” Reputable Friends as Watchdogs: Social Ties and Governance. To examine how governance is affected when a designated supervisor befriends the person to be supervised, this paper embeds a delegated monitoring problem in a social structure: the supervisor and the agent are friends, and the supervisor desires to be socially recognized for having integrity. Strengthening the friendship weakens the supervisor’s monitoring incentives, forging an alliance against the principal (bonding). But the agent also grows more reluctant to put the supervisor’s perceived integrity at risk, thus becoming more aligned with the principal (bridging). If the supervisor’s desire for social recognition is strong, the principal’s preferences regarding the supervisor-agent friendship are bipolar. Weak friendship makes the supervisor monitor intensively to save face. Strong friendship leads the supervisor to abandon monitoring but the agent to behave well in order to protect the supervisor from losing face. The strength of friendship necessary for the latter outcome decreases in the supervisor’s desire for esteem; that is, image concerns leverage the bridging effect of friendship. This suggests that overlapping personal and professional ties can enhance delegated governance in cultures or contexts where social recognition is important, and provides a novel perspective on issues related to crony capitalism, corporate governance, and organizational culture. / Diss. Stockholm : Handelshögskolan, 2009 Sammanfattning jämte 5 uppsatser
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The political risk of international sanctions and multinational firm value: an empirical analysis using the event-study methodologyGadringer, Mark-P. 05 1900 (has links) (PDF)
This thesis emphasizes the role of political risk in international business
by analyzing the impact of political events on the valuation of firms. The
guiding question is how governments interfere with the business interests of
firms located in their own country as well as with the business interests of
firms from other nations, as a consequence of the application of international
sanctions. Therefore, the focus is on multi-country and multi-sector effects due
to the occurrence of specific sanction events. The empirical methodology is the
event-study approach, which analyzes stock market reactions to new information.
The research objective is to detect abnormal stock returns across multiple
markets and sectors, as a consequence of events related to the imposition of or
threat of international sanctions. The empirical model of this thesis differentiates
between risk-effects for firms located in the sender country (i.e., the origin of
sanctions), for firms located in or specifically related to target countries (i.e.,
the receiver of sanctions) and firms located in third countries (i.e., countries
not directly involved). There are three different cases analyzed: E.U. Economic
Sanctions against African countries (2002-2005), the U.S. Steel Tariff (2002) and
the Iran Sanctions Act (2007). The cases represent sanctions applied on the
nationwide, sector- and firm-specific level. The event studies provide empirical
evidence for the existence of political risk-effects due to sector-specific sanctions.
Risk-effects are detected for firms in target countries and for firms in the sender
country itself. The applied political risk framework describes how political risk
affects multinational firm value and explains that it varies among firms. The
impact of political risk on a firm's value depends on the risk exposure of a firm's
individual business interests to it. This contributes a new perspective on political
risk that emphasizes multinational and multi-sectoral effects and underlines that a
specific political risk can be relevant for a variety of different international business
interests. (author's abstract)
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Rozvoj finančních trhů v Rusku / Development of financial markets in RussiaZhiganov, Artem January 2009 (has links)
The aim of the diploma is to introduce provide information about financial system of Russia. It includes a description and classification of Russian financial markets, development of the whole system and describe a current financial position during the crisis. Diploma also includes Regulation and Supervision part, which is relatively important due to a present situation in the financial world. In terms of practical part basing on technical and fundamental analyses the author tends to forecast the probable future trend of development of the Russian Trade System RTS. The diploma is made for a wide range of prospective readers, who even might not be interested in Finance.
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Jak finanční trhy sledují hospodářství / How Financial Markets Assess the State of Major EconomiesNěmeček, Josef January 2013 (has links)
In accordance with its main goal, the main thesis shows which published data and indicators contemporary financial markets use to assess the state of major economies and forecast their short-term future development. Using Bloomberg as the primary source, the thesis provides a detailed analysis of the indicators and surveys sought by finance professionals when assessing the performance of the economy in the United States, the euro-zone (with emphasis on Germany) and, in the context of the impact on the global economy and markets, in China and Japan. A preliminary hypothesis about the similarity or closeness between the theoretical view and the practical approach of financial markets has been refuted. Instead, after close scrutiny and detailed analysis, we have established that financial markets put great emphasis on forward-looking indicators and monetary policy. This emphasis was confirmed by a survey of local investors. Using expert opinion and analysis, the thesis charts an overview of select economic indicators and their over- (payrolls, consumer sentiment) or undervaluation (regional Fed activity indexes, CFNAI).
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Essays in functional econometrics and financial marketsTsafack-Teufack, Idriss 07 1900 (has links)
Dans cette thèse, j’exploite le cadre d’analyse de données fonctionnelles et développe
l’analyse d’inférence et de prédiction, avec une application à des sujets sur les marchés
financiers. Cette thèse est organisée en trois chapitres.
Le premier chapitre est un article co-écrit avec Marine Carrasco. Dans ce chapitre,
nous considérons un modèle de régression linéaire fonctionnelle avec une variable
prédictive fonctionnelle et une réponse scalaire. Nous effectuons une comparaison
théorique des techniques d’analyse des composantes principales fonctionnelles (FPCA)
et des moindres carrés partiels fonctionnels (FPLS). Nous déterminons la vitesse de
convergence de l’erreur quadratique moyen d’estimation (MSE) pour ces méthodes.
Aussi, nous montrons cette vitesse est sharp. Nous découvrons également que le biais
de régularisation de la méthode FPLS est plus petit que celui de FPCA, tandis que
son erreur d’estimation a tendance à être plus grande que celle de FPCA. De plus,
nous montrons que le FPLS surpasse le FPCA en termes de prédiction avec moins de
composantes.
Le deuxième chapitre considère un modèle autorégressif entièrement fonctionnel
(FAR) pour prèvoir toute la courbe de rendement du S&P 500 a la prochaine journée.
Je mène une analyse comparative de quatre techniques de Big Data, dont la méthode de
Tikhonov fonctionnelle (FT), la technique de Landweber-Fridman fonctionnelle (FLF), la
coupure spectrale fonctionnelle (FSC) et les moindres carrés partiels fonctionnels (FPLS).
La vitesse de convergence, la distribution asymptotique et une stratégie de test statistique
pour sélectionner le nombre de retard sont fournis. Les simulations et les données réelles
montrent que les méthode FPLS performe mieux les autres en terme d’estimation du
paramètre tandis que toutes ces méthodes affichent des performances similaires en termes
de prédiction.
Le troisième chapitre propose d’estimer la densité de neutralité au risque (RND) dans
le contexte de la tarification des options, à l’aide d’un modèle fonctionnel. L’avantage de
cette approche est qu’elle exploite la théorie d’absence d’arbitrage et qu’il est possible
d’éviter toute sorte de paramétrisation. L’estimation conduit à un problème d’inversibilité
et la technique fonctionnelle de Landweber-Fridman (FLF) est utilisée pour le surmonter. / In this thesis, I exploit the functional data analysis framework and develop inference,
prediction and forecasting analysis, with an application to topics in the financial market.
This thesis is organized in three chapters.
The first chapter is a paper co-authored with Marine Carrasco. In this chapter,
we consider a functional linear regression model with a functional predictor variable
and a scalar response. We develop a theoretical comparison of the Functional Principal
Component Analysis (FPCA) and Functional Partial Least Squares (FPLS) techniques.
We derive the convergence rate of the Mean Squared Error (MSE) for these methods. We
show that this rate of convergence is sharp. We also find that the regularization bias of
the FPLS method is smaller than the one of FPCA, while its estimation error tends to
be larger than that of FPCA. Additionally, we show that FPLS outperforms FPCA in
terms of prediction accuracy with a fewer number of components.
The second chapter considers a fully functional autoregressive model (FAR) to forecast
the next day’s return curve of the S&P 500. In contrast to the standard AR(1) model
where each observation is a scalar, in this research each daily return curve is a collection
of 390 points and is considered as one observation. I conduct a comparative analysis
of four big data techniques including Functional Tikhonov method (FT), Functional
Landweber-Fridman technique (FLF), Functional spectral-cut off (FSC), and Functional
Partial Least Squares (FPLS). The convergence rate, asymptotic distribution, and a
test-based strategy to select the lag number are provided. Simulations and real data
show that FPLS method tends to outperform the other in terms of estimation accuracy
while all the considered methods display almost the same predictive performance.
The third chapter proposes to estimate the risk neutral density (RND) for options
pricing with a functional linear model. The benefit of this approach is that it exploits
directly the fundamental arbitrage-free equation and it is possible to avoid any additional
density parametrization. The estimation problem leads to an inverse problem and the
functional Landweber-Fridman (FLF) technique is used to overcome this issue.
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Inherentní nestabilita finančních trhů / Inherent instability of financial marketsHladík, Jan January 2016 (has links)
The main aim of this presented diploma thesis is to help build a systematic understanding of the political and social foundations of global financial markets, their operations and impacts on the global power affairs. The thesis highlights the dynamic complexity of the post financial crisis state of the World with its itra- and inter-social features. It instrumentaly uses critique of a free market agenda and neo-classical economy which contrasts the Efficient Markets Hypothesis with Hyman Minsky's Financial Instability Hypothesis (FIH), taking into account the dynamic complexity of financial markets. This approach offers analytical tools that can account for crisis through processes endogenous to contemporary financial capitalism. I shall argue that a financially complex system is, according to the FIH, inherently flawed and unstable. After a theoretical and historical review, the thesis discusses various aspects of the process of austerity regime and its social consequences. This provides an opportunity for analyses of the ongoing existence of interstate competition, of militarised foreign policy, and of other international, at times violent conflicts. In an effort to make sense of some of these phenomena, I instrumentaly use the study of geoeconomics that builds on some fundamental assumptions...
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Evaluación del comportamiento de carteras con gestión automatizada comparada con los rendimientos de carteras aleatorias y fondos de inversiónPlá María, Marcos 24 July 2014 (has links)
Este trabajo se plantea la cuestión que millones de inversores se han planteado en algún momento: ¿cuál es la mejor opción para sus ahorros, fondos de inversión, inversión aleatoria o estrategias de análisis técnico?
Para este propósito se describen en primer lugar las normas que regulan a las instituciones de inversión colectiva (IIC) en España, distinguiendo entre los diferentes tipos de fondos en cuanto a su forma legal.
A continuación se repasan las teorías sobre eficiencia en los mercados financieros. Estas teorías se enlazan con los estilos de gestión; gestión pasiva para aquellos ortodoxos que defienden la eficiencia fuerte y gestión activa para los gestores que no toman la eficiencia como un dogma. Estos últimos creen en las anomalías de mercado y recurren a estrategias basadas en fundamentos contables (estimación de beneficios, ventas, etc.). Esta primera parte concluye con una evaluación del rendimiento de los fondos españoles según su estilo de inversión. Puesto que esta no es del todo favorable para las gestoras se intentan aportar motivos por los cuales los fondos siguen disfrutando de amplia aceptación.
La segunda parte del trabajo describe la metodología empleada para estudiar el comportamiento de una cartera de inversión gestionada mediante estrategias de análisis técnico. Con este fin ha sido necesario desarrollar un software capaz de realizar la gestión de carteras y que se alimenta de cotizaciones históricas desde 1/2003 hasta 1/2012. Los datos se separan en dos estudios paralelos, uno para Europa y el otro para EE.UU con el objetivo de analizar diferencias y semejanzas. El programa permite el control completo sobre la cartera, gestión de liquidez, stop-loss, etc.; y nos abastece al mismo tiempo de una gran cantidad de información estadística. La particularidad del software es la capacidad de poder variar los parámetros de las estrategias mediante barrido, obteniendo así no solamente una única simulación sino una población de simulaciones referidas a una estrategia.
En la tercera parte se recurre a este conjunto de simulaciones a las que denominaremos estudios y están compuestas por varios millones de operaciones de compra y venta. Estos estudios se aproximan a funciones normales que describen la esperanza de rentabilidades que tendría un inversor que decidiera participar en el mercado siguiendo alguna de las estrategias descritas. Para poder comparar el comportamiento de las estrategias técnicas se utilizan diferentes métodos aleatorios que pretenden simular una operativa al azar. Por último se confrontan los tres métodos de inversión: fondos, análisis técnico y aleatorio; comparados con los índices de referencia correspondientes. / Plá María, M. (2014). Evaluación del comportamiento de carteras con gestión automatizada comparada con los rendimientos de carteras aleatorias y fondos de inversión [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/38987
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La liberté contractuelle du banquier : réflexions sur la sécurité du système financier / The contractual freedom of the banker : reflections on the safety of financial systemMaymont, Anthony 17 December 2013 (has links)
La liberté contractuelle du banquier est une liberté parmi d’autres. Cependant, elle est la plus sensible dans lamesure où elle peut avoir des répercussions sur son activité. A priori sans limites aujourd’hui, cette liberté auraitmême des conséquences indéniables sur la sécurité du système financier en facilitant le phénomène des« bulles ». Le contrat, situé au coeur de l’activité bancaire et financière, serait ainsi la cause de cette réalité. Leschocs récents, telles les crises financières, imposent l´examen détaillé des opérations bancaires nationales maisaussi internationales, notamment celles les plus dangereuses. Encore méconnue, la mesure de la libertécontractuelle du banquier s’avère nécessaire pour en proposer une relecture. L’objectif n’est donc pas d’excluretoute liberté au banquier mais de définir le degré de liberté contractuelle à lui accorder pour chaque opération.L´idée étant de lui octroyer un niveau satisfaisant de liberté tout en assurant la sécurité du système financier.L’enjeu repose finalement sur la conciliation de l’impératif contractuel, résultant de la liberté contractuelle dubanquier, avec l’impératif de sécurité du système financier, nécessaire à la pérennité des banques et del’économie mondiale. / The contractual freedom of the banker is a freedom among the others. However, it is the most sensitive in so faras it can affect on his activity. Apparently unlimited today, this freedom would have even undeniableconsequences on the safety of the financial system by facilitating the phenomenon of “speculative bubbles”. Thecontract, situated in the heart of the banking and financial activity, would be thus the cause of this reality. Therecent shocks, such as financial crises, require the detailed examination of the national but also internationalbank transactions, especially the most dangerous. Still ignored, the measurement of the contractual freedom ofthe banker proves to be necessary to propose a review. The aim is not thus to rule any banker’s freedom out butto define the degree of contractual freedom to grant to him for each transaction. The idea being to grant him asatisfactory level of freedom while ensuring the safety of financial system. The stake rests finally on theconciliation of the contractual requirement, resulting from the contractual freedom of the banker, with the safetyrequirement of the financial system, necessary for the sustainability of banks and worldwide economy.
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An Empirical Analysis of Herd Behavior in Sweden's First North Growth Market on NASDAQ NordicSingh, Bavneet, Maslarov, Boris January 2024 (has links)
In this paper, market participants’ tendency to form investor herds in the stocks listed on Nasdaq First North Growth Market of Sweden is examined for the period from 2018 to 2023. The models used in this study to detect herd behavior in stocks consist of two measures of dispersions, Cross-Sectional Standard Deviation of returns (CSSD) and Cross-Sectional Absolute Deviation of returns (CSAD), which were proposed by Christie and Huang (1995) and Chang, et al. (2000), respectively. An equally-weighted index consisting of all of the stocks that have traded on this market during the period is created and a quantitative analysis is conducted. Evidence showed absence of herd behavior when using both models, as well as when accounting for robustness tests consisting of small, mid-and large cap portfolios. Our results also support the prediction of rational asset pricing models, which suggest that stock return dispersions around the market returns increase during periods of market stress.
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“Accumulation by Dispossession” by the Global Extractive Industry: The Case of CanadaKinuthia, Wanyee 13 November 2013 (has links)
This thesis draws on David Harvey’s concept of “accumulation by dispossession” and an international political economy (IPE) approach centred on the institutional arrangements and power structures that privilege certain actors and values, in order to critique current capitalist practices of primitive accumulation by the global corporate extractive industry. The thesis examines how accumulation by dispossession by the global extractive industry is facilitated by the “free entry” or “free mining” principle. It does so by focusing on Canada as a leader in the global extractive industry and the spread of this country’s mining laws to other countries – in other words, the transnationalisation of norms in the global extractive industry – so as to maintain a consistent and familiar operating environment for Canadian extractive companies. The transnationalisation of norms is further promoted by key international institutions such as the World Bank, which is also the world’s largest development lender and also plays a key role in shaping the regulations that govern natural resource extraction. The thesis briefly investigates some Canadian examples of resource extraction projects, in order to demonstrate the weaknesses of Canadian mining laws, particularly the lack of protection of landowners’ rights under the free entry system and the subsequent need for “free, prior and informed consent” (FPIC). The thesis also considers some of the challenges to the adoption and implementation of the right to FPIC. These challenges include embedded institutional structures like the free entry mining system, international political economy (IPE) as shaped by international institutions and powerful corporations, as well as concerns regarding ‘local’ power structures or the legitimacy of representatives of communities affected by extractive projects. The thesis concludes that in order for Canada to be truly recognized as a leader in the global extractive industry, it must establish legal norms domestically to ensure that Canadian mining companies and residents can be held accountable when there is evidence of environmental and/or human rights violations associated with the activities of Canadian mining companies abroad. The thesis also concludes that Canada needs to address underlying structural issues such as the free entry mining system and implement FPIC, in order to curb “accumulation by dispossession” by the extractive industry, both domestically and abroad.
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